Dimensional Global Core Etf Volatility
| DFGP Etf | 53.54 -0.54 -1.00% |
Dimensional Global Core shows a minimal volatility profile over the current evaluation window. Dimensional Global Core indicates a Sharpe Ratio (Efficiency) of -0.0542, reflecting negative risk-adjusted performance over the last 3 months. We identified 22 technical indicators influencing current risk dynamics.
Sharpe Ratio = -0.0542
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | DFGP |
Dimensional Global Core posted a Market Risk Adjusted Performance of -0.2%, a Risk of 0.25, and a Risk Adjusted Performance of -0.1% for the reported period. Based on recent moving average trends, Dimensional Global has not achieved its theoretical performance maximum. Pairing it with a well-diversified portfolio structure may improve overall efficiency.
Key indicators related to Dimensional Global's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The volatility profile of Dimensional Global determines how much Dimensional Global's price can move in either direction over a given time frame. Investors use volatility estimates to size positions, set stop-loss levels, and price the cost of hedging Dimensional Global exposure.
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Volatility Strategy
Volatility in Dimensional Global Core reflects changing market conditions that influence diversification outcomes. Current statistical measures show total volatility near 0.25% with a beta coefficient of 0.11, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0542, evaluates return per unit of total risk. An alpha value of -0.0108 reflects performance relative to systematic market exposure. Expected return estimates near -0.0134% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. ETF volatility may reflect both basket movement and premium/discount to NAV.
Main indicators related to Dimensional Global's market risk premium analysis include:
Beta 0.11 | Alpha -0.01 | Risk 0.25 | Sharpe Ratio -0.05 | Expected Return -0.01 |
Moving together with Dimensional Etf
| 0.96 | IAGG | iShares Core | PairCorr |
| 0.97 | BNDW | Vanguard Total World | PairCorr |
| 0.93 | JPIB | JPMorgan International | PairCorr |
| 0.98 | BGRN | iShares USD Green | PairCorr |
| 0.96 | FLIA | Franklin Liberty | PairCorr |
| 0.79 | KORU | Direxion Daily South | PairCorr |
| 0.63 | GDXU | MicroSectors Gold Miners | PairCorr |
| 0.7 | JNUG | Direxion Daily Junior | PairCorr |
| 0.83 | TSMG | Leverage Shares 2X | PairCorr |
| 0.79 | RMOP | Rockefeller Opportunistic | PairCorr |
| 0.64 | KGLD | Kurv Gold Enhanced | PairCorr |
| 0.82 | DES | WisdomTree SmallCap | PairCorr |
| 0.8 | CPSL | Calamos Laddered SAMPP | PairCorr |
| 0.78 | BLUI | Exchange Traded Concepts | PairCorr |
| 0.82 | PDP | Invesco DWA Momentum | PairCorr |
| 0.67 | KO | Coca Cola | PairCorr |
| 0.85 | DD | Dupont De Nemours | PairCorr |
Sensitivity To Market
The beta coefficient of 0.11 for Dimensional Global Core measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 0.25%.Dimensional Global Core return patterns over the selected horizon reflect a minimal level of variability, based on dispersion and downside-focused statistics. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability can also shape short-term movement.
| α | -0.0108 | β | 0.11 | Check current 90 days Dimensional Global correlation with market (Dow Jones Industrial)
Downside Risk
Dimensional standard deviation quantifies the typical daily price movement relative to its average over your selected period. Volatile instruments show high standard deviation; stable instruments show low.
Standard Deviation | 0.25 |
The difference between upside risk and downside risk is meaningful for Dimensional Global investors. Upside risk is measured by Dimensional Global's standard deviation, while downside risk is captured by semi-deviation or downside deviation of Dimensional Global's daily returns. Dimensional Global Core posted a Maximum Drawdown of 0.93 for the reported period.
Etf Volatility Analysis
When measuring the risk of Dimensional Global etf, volatility is a critical metric. It indicates how dramatically Dimensional Global's price swings over a specific time horizon. A etf with high volatility can produce outsized gains or losses compared to a low-volatility alternative.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Dimensional Global Core Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Given the investment horizon of 90 days Dimensional Global has a beta of 0.1149 suggesting as returns on the market go up, Dimensional Global's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Dimensional Global Core is expected to be smaller as well.Dimensional Global carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. Dimensional Global Core posted a Mean Deviation of 0.17 and a Standard Deviation of 0.24 for the reported period.
Predicted Return Density |
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What Drives Dimensional Global's Price Volatility?
Several factors can influence Dimensional Global's market volatility:Industry Dynamics
Sector-level events can directly affect Dimensional Global's price stability. Regulatory changes, supply disruptions, or shifts in demand within Dimensional Global's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like Dimensional Global.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Dimensional Global's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Dimensional Global. During periods of economic expansion, Dimensional Global's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Dimensional Global's Company-Specific Factors
Volatility can also stem from events unique to Dimensional Global. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Dimensional Global's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Dimensional Global's share price.Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Dimensional Global is -1846.04. The daily returns are distributed with a variance of 0.06 and standard deviation of 0.25. The mean deviation of Dimensional Global Core is currently at 0.17. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.0108 | |
β | Beta against Dow Jones | 0.11 | |
σ | Overall volatility | 0.25 | |
Ir | Information ratio | 0.32 |
Etf Return Volatility
Volatility for Dimensional Global quantifies the day-to-day dispersion of etf returns around their historical average. The ETF carries 0.2477% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial has volatility of 0.8248% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Dimensional Global Competition Risk-Adjusted Indicators
Dimensional Global ETF may look attractive on headline returns alone, but deeper analysis often tells a different story. A thorough review of Dimensional Global's risk-adjusted indicators provides a clearer picture of whether returns are being earned efficiently. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.51 | -0.02 | 0.00 | -0.12 | 0.00 | 2.33 | 14.24 | |||
| MSFT | 1.27 | -0.27 | 0.00 | -0.62 | 0.00 | 2.19 | 13.28 | |||
| UBER | 1.54 | -0.20 | 0.00 | 0.60 | 0.00 | 3.18 | 11.09 | |||
| F | 1.34 | -0.13 | 0.00 | -0.21 | 0.00 | 3.61 | 10.01 | |||
| T | 1.12 | 0.23 | 0.24 | -1.20 | 1.13 | 3.87 | 8.53 | |||
| A | 1.22 | -0.25 | 0.00 | -0.35 | 0.00 | 2.48 | 7.20 | |||
| CRM | 1.79 | -0.32 | 0.00 | -0.61 | 0.00 | 3.41 | 9.78 | |||
| JPM | 1.11 | -0.03 | 0.00 | -0.12 | 0.00 | 2.02 | 8.17 | |||
| MRK | 1.13 | 0.27 | 0.22 | 0.46 | 1.22 | 2.54 | 7.29 | |||
| XOM | 1.31 | 0.48 | 0.36 | 8.37 | 1.14 | 2.90 | 6.83 |
Risk Metrics, Assumptions & Methodology
Volatility for Dimensional Global reflects price dispersion, spread stability, and underlying basket liquidity conditions. Standard deviation provides a baseline measure of variability magnitude.
This section for Dimensional Global Core is built from fund disclosures and market reference feeds, with harmonization applied to align reporting definitions. Values may update on different source schedules. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Rifka Kats - Member of Macroaxis Editorial BoardDimensional Global Investment Opportunity
Dimensional Global Core currently shows materially lower return volatility than Dow Jones Industrial, with a relative multiple of about 3.28. That difference can matter when investors want a steadier position size or lower contribution to total portfolio risk.You can use Dimensional Global Core to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. a moderate downward daily trend and can be a good diversifier. Check odds of Dimensional Global to be traded at 52.47 in 90 days.Poor diversification
The correlation between DFGP and DJI is 0.61, which Macroaxis classifies as Poor diversification for the selected horizon. This matters because lower overlap can improve diversification, while higher overlap leaves more of the same risk inside the portfolio.
Dimensional Global Additional Risk Indicators
Looking at additional risk metrics for Dimensional Global Core frames how the position may behave under different market and portfolio conditions. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | -0.06 | |||
| Market Risk Adjusted Performance | -0.18 | |||
| Mean Deviation | 0.1701 | |||
| Coefficient Of Variation | -1,998 | |||
| Standard Deviation | 0.2419 | |||
| Variance | 0.0585 | |||
| Information Ratio | 0.3151 |
Dimensional Global Suggested Diversification Pairs
Pair trading with Dimensional Global can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Dimensional Global's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Dimensional Global's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.
More Resources for Dimensional Etf Analysis
Understanding Dimensional Global Core starts with its core financial statements, trend data, and ratio analysis. Financial ratios help explain how results are produced and sustained. The dataset reflects Dimensional Global's available reporting history. The reports below outline key financial context for Dimensional Global Core Etf:Investing Opportunities provides context for diversified portfolio design. Additional portfolio transparency improves capital positioning. Diversification analysis considers the interaction of positions within a portfolio. A position in Dimensional Global Core is indicated here. This is part of the broader portfolio composition. Position allocation is driven by the portfolio construction model. This dataset reflects observed data and is not advisory in nature. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in census. Dimensional Global information on this page supports broader research rather than acting as a stand-alone signal. Dimensional Global analysis across multiple dimensions - risk, valuation, diversification - produces a more informed position-sizing decision. You can also try the Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
Dimensional Global Core can be assessed through both market valuation and accounting book value, which often tell different stories. Intrinsic value provides a third perspective, grounded in fundamentals rather than accounting convention or market sentiment.
Distinguishing between Dimensional Global's value and market price helps frame analytical expectations. The assessment draws on financial ratios, peer comparisons, and historical trend data. In practice, Dimensional Global price is set by the continuous auction process on its listing exchange.